Read Books Online and Download eBooks, EPub, PDF, Mobi, Kindle, Text Full Free.
Download A Variance Decomposition For Stock Returns full books in PDF, epub, and Kindle. Read online A Variance Decomposition For Stock Returns ebook anywhere anytime directly on your device. Fast Download speed and no annoying ads. We cannot guarantee that every ebooks is available!
Author : John Y. Campbell
Publisher :
ISBN 13 :
Total Pages : 27 pages
Book Rating : 4.:/5 (129 download)
Download or read book A variance decomposition for stock returns written by John Y. Campbell and published by . This book was released on 1990 with total page 27 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Burton Hollifield
Publisher :
ISBN 13 :
Total Pages : 26 pages
Book Rating : 4.:/5 (129 download)
Download or read book A Bayesian Analysis of a Variance Decomposition for Stock Returns written by Burton Hollifield and published by . This book was released on 2009 with total page 26 pages. Available in PDF, EPUB and Kindle. Book excerpt: We apply Bayesian methods to study a common VAR-based approach for decomposing the variance of excess stock returns into components reflecting news about future excess stock returns, future real interest rates, and future dividends. We develop a new prior elicitation strategy which involves expressing beliefs about the components of the variance decomposition. Previous Bayesian work elicited priors from the difficult-to-interpret parameters of the VAR. With a commonly used data set, we find that the posterior standard deviations for the variance decomposition based on these previously used priors, including quot;non-informativequot; limiting cases, are much larger than classical standard errors based on asymptotic approximations. Therefore, the non-informative researcher remains relatively uninformed about the variance decomposition after observing the data. We show the large posterior standard deviations arise because the quot;non-informativequot; prior is implicitly very informative in a highly undesirable way. However, reasonably informative priors using our elicitation method allow for much more precise inference about components of the variance decomposition.
Download or read book Bayesian Analysis of a Variance Decomposition for Stock Returns written by and published by . This book was released on with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: The Finance Division of the Faculty of Commerce and Business Administration at the University of British Columbia in Vancouver, British Columbia, Canada, presents the full text of a working paper entitled " A Bayesian Analysis of a Variance Decomposition for Stock Returns," by Burton Hollifield, Gary Koop, and Kai Li. The paper discusses using Bayesian methods to study the variance of excess stock returns.
Author : John Y. Campbell
Publisher :
ISBN 13 :
Total Pages : 40 pages
Book Rating : 4.:/5 (129 download)
Download or read book What moves the stock and bond markets? a variance decomposition for long-term asset returns written by John Y. Campbell and published by . This book was released on 1991 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : John Y. Campbell
Publisher :
ISBN 13 :
Total Pages : 40 pages
Book Rating : 4.:/5 (243 download)
Download or read book What Moves the Stock and Bond Markets? written by John Y. Campbell and published by . This book was released on 1991 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper uses a log-linear asset pricing framework and a vector autoregressive model to break down movements in stock and bond returns into changes in expectations of future stock dividends, inflation, short-term real interest rates, and excess returns on stocks and bonds. In monthly postwar U.S. data, excess stock returns are found to be driven largely by news about future excess stock returns, while excess 10-year bond returns are driven largely by news about future inflation. Real interest rate changes have little impact on either stock or 10-year bond returns, although they do affect the short-term nominal interest rate and the slope of the term structure. These findings help to explain why postwar excess stock and bond returns have been almost uncorrelated.
Author : Dimitrios Roumeliotis
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (127 download)
Download or read book Expected and Unexpected Long-term Asset Excess Returns: A Variance Decomposition written by Dimitrios Roumeliotis and published by . This book was released on 1997 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : John Y. Campbell
Publisher :
ISBN 13 :
Total Pages : 54 pages
Book Rating : 4.:/5 (318 download)
Download or read book Dispersion and Volatility in Stock Returns written by John Y. Campbell and published by . This book was released on 1998 with total page 54 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper studies three different measures of monthly stock market volatility: the time-series volatility of daily market returns within the month; the cross-sectional volatility or 'dispersion' of daily returns on industry portfolios, relative to the market, within the month; and the dispersion of daily returns on individual firms, relative to their industries, within the month. Over the period 1962-97 there has been a noticeable increase in firm-level volatility relative to market volatility. All the volatility measures move together in a countercyclical fashion. While market volatility tends to lead the other volatility series, industry-level volatility is a particularly important leading indicator for the business cycle.
Author : Tolga Cenesizoglu
Publisher :
ISBN 13 :
Total Pages : 53 pages
Book Rating : 4.:/5 (13 download)
Download or read book Return Decomposition Over the Business Cycle written by Tolga Cenesizoglu and published by . This book was released on 2014 with total page 53 pages. Available in PDF, EPUB and Kindle. Book excerpt: To analyze the determinants of the observed variation in stock prices, Campbell and Shiller (1988) have suggested decomposing unexpected stock returns into unexpected changes in investors' beliefs about future cash flows (cash flow news) and discount rates (discount rate news). Based on a generalization of this approach to a framework with regime-switching parameters and variances, we analyze the decomposition of the conditional variance of returns on the S&P 500 index over the business cycle. The cash flow news is relatively more important than discount rate news in determining the conditional variance of returns in expansions. The conditional variances of returns and its components increase in recessions. However, the conditional variance of discount rate news increases more than that of cash flow news and, thus, the discount rate news becomes relatively more important than cash flow news in determining the conditional variance of returns in recessions. In contrast to the standard Campbell and Shiller approach with constant parameters and variances, cash flow news becomes more important than discount rate news in determining the unconditional variance of returns when we allow parameters and variances to vary over the business cycle. We show that these results are broadly consistent with the implications of a stylized asset pricing model in which the growth rates of dividends and consumption take on different values depending on the underlying state of the economy.
Author : Steven Durlauf
Publisher : Springer
ISBN 13 : 0230280838
Total Pages : 417 pages
Book Rating : 4.2/5 (32 download)
Download or read book Macroeconometrics and Time Series Analysis written by Steven Durlauf and published by Springer. This book was released on 2016-04-30 with total page 417 pages. Available in PDF, EPUB and Kindle. Book excerpt: Specially selected from The New Palgrave Dictionary of Economics 2nd edition, each article within this compendium covers the fundamental themes within the discipline and is written by a leading practitioner in the field. A handy reference tool.
Author : Ruojun Wu
Publisher :
ISBN 13 :
Total Pages : 137 pages
Book Rating : 4.:/5 (276 download)
Download or read book Essays on the Predictability and Volatility of Returns in the Stock Market written by Ruojun Wu and published by . This book was released on 2008 with total page 137 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation studies the effect of parameter uncertainty on the return predictability and volatility of the stock market. The first two chapters focus on the decomposition of market volatility, and the third chapter studies the return predictability. When facing imperfect information, the investors tend to form a learning scheme that encompasses both historical data and prior beliefs. In the variance decomposition framework, the introducing of learning directly impacts the way that return forecasts are revised and consequently the relative component of market volatility based on these forecasts, namely the price movements from revision on future discount rates and those from future cash flows. According to the empirical study in Chapter 1, the former is not necessarily the major driving force of market volatility, which provides an alternative view on what moves stock prices. Learning is modeled and estimated by Bayesian method. Chapter 2 follows the topic in Chapter 1 and studies the role of persistent state variables in return decomposition in order to provide more robust inference on variance decomposition. In Chapter 3 we propose to utilize theoretical constraints to help predict market returns when in sample data is very noisy and creates model uncertainty for the investors. The constraints are also incorporated by Bayesian method. We show in the out-of-sample forecast experiment that models with theoretical constraints produce better forecasts.
Author : Sang-yŏng Chu
Publisher :
ISBN 13 :
Total Pages : 318 pages
Book Rating : 4.:/5 (89 download)
Download or read book Three Essays on Stock Returns and Inflation written by Sang-yŏng Chu and published by . This book was released on 1994 with total page 318 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : John Y. Campbell
Publisher :
ISBN 13 :
Total Pages : 66 pages
Book Rating : 4.3/5 ( download)
Download or read book Growth Or Glamour? written by John Y. Campbell and published by . This book was released on 2005 with total page 66 pages. Available in PDF, EPUB and Kindle. Book excerpt: The cash flows of growth stocks are particularly sensitive to temporary movements in aggregate stock prices (driven by movements in the equity risk premium), while the cash flows of value stocks are particularly sensitive to permanent movements in aggregate stock prices (driven by market-wide shocks to cash flows.) Thus the high betas of growth stocks with the market's discount-rate shocks, and of value stocks with the market's cash-flow shocks, are determined by the cash-flow fundamentals of growth and value companies. Growth stocks are not merely "glamour stocks" whose systematic risks are purely driven by investor sentiment. More generally, accounting measures of firm-level risk have predictive power for firms' betas with market-wide cash flows, and this predictive power arises from the behavior of firms' cash flows. The systematic risks of stocks with similar accounting characteristics are primarily driven by the systematic risks of their fundamentals.
Author : Cheng F. Lee
Publisher : Center for PBBEFR & Airiti Press
ISBN 13 : 9864371290
Total Pages : pages
Book Rating : 4.8/5 (643 download)
Download or read book Advances in Quantitative Analysis of Finance and Accounting (New Series) Vol．14 written by Cheng F. Lee and published by Center for PBBEFR & Airiti Press. This book was released on 2016-01-01 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Advances in Quantitative Analysis of Finance and Accounting (New Series) is an annual publication designed to disseminate developments in the quantitative analysis of finance and accounting. The publication is a forum for statistical and quantitative analyses of issues in finance and accounting as well as applications of quantitative methods to problems in financial management, financial accounting, and business management. The objective is to promote interaction between academic research in finance and accounting and applied research in the financial community and the accounting profession.
Author : Costis Skiadas
Publisher : Princeton University Press
ISBN 13 : 1400830141
Total Pages : 363 pages
Book Rating : 4.4/5 (8 download)
Download or read book Asset Pricing Theory written by Costis Skiadas and published by Princeton University Press. This book was released on 2009-02-09 with total page 363 pages. Available in PDF, EPUB and Kindle. Book excerpt: Asset Pricing Theory is an advanced textbook for doctoral students and researchers that offers a modern introduction to the theoretical and methodological foundations of competitive asset pricing. Costis Skiadas develops in depth the fundamentals of arbitrage pricing, mean-variance analysis, equilibrium pricing, and optimal consumption/portfolio choice in discrete settings, but with emphasis on geometric and martingale methods that facilitate an effortless transition to the more advanced continuous-time theory. Among the book's many innovations are its use of recursive utility as the benchmark representation of dynamic preferences, and an associated theory of equilibrium pricing and optimal portfolio choice that goes beyond the existing literature. Asset Pricing Theory is complete with extensive exercises at the end of every chapter and comprehensive mathematical appendixes, making this book a self-contained resource for graduate students and academic researchers, as well as mathematically sophisticated practitioners seeking a deeper understanding of concepts and methods on which practical models are built. Covers in depth the modern theoretical foundations of competitive asset pricing and consumption/portfolio choice Uses recursive utility as the benchmark preference representation in dynamic settings Sets the foundations for advanced modeling using geometric arguments and martingale methodology Features self-contained mathematical appendixes Includes extensive end-of-chapter exercises
Download or read book A Trend and Variance Decomposition of the Rent-price Ratio in Housing Markets written by and published by . This book was released on 2006 with total page 70 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Hsien-hsing Liao
Publisher : World Scientific
ISBN 13 : 9814491489
Total Pages : 265 pages
Book Rating : 4.8/5 (144 download)
Download or read book Asset Pricing written by Hsien-hsing Liao and published by World Scientific. This book was released on 2003-02-10 with total page 265 pages. Available in PDF, EPUB and Kindle. Book excerpt: Real estate finance is a fast-developing area where top quality research is in great demand. In the US, the real estate market is worth about US$4 trillion, and the REITs market about US$200 billion; tens of thousands of real estate professionals are working in this area. The market overseas could be considerably larger, especially in Asia.Given the rapidly growing real estate securities industry, this book fills an important gap in current real estate research and teaching. It is an ideal reference for investment professionals as well as senior MBA and PhD students.
Author : Frank Hahn
Publisher : Springer
ISBN 13 : 1349124923
Total Pages : 190 pages
Book Rating : 4.3/5 (491 download)
Download or read book The Market written by Frank Hahn and published by Springer. This book was released on 1992-03-03 with total page 190 pages. Available in PDF, EPUB and Kindle. Book excerpt: The virtues and failings of market economies are at present widely debated and the outcome of the debate is of practical importance. This book contains essays that address these issues of economic policy ranging from privatisation of industry and financial markets to education and the proposal for an internal market in the health service. Apart from two theoretical pieces, particular markets, and proposals for creating such markets, are studied. The contributors are distinguished specialists in their field of economics and their analysis offers important lessons for social and political philosophy and will generate considerable interest.
